fCreateKernelMatrix: Create the matrix of kernel functions
In SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction

fCreateKernelMatrix

R Documentation

Create the matrix of kernel functions

Creates a J x J matrix [ w(u_i,u_j) ] where J is the number of cashflow times in the calibration set

  fCreateKernelMatrix(times, fKernel)

`times`	a vector of cashflow times
`fKernel`	a kernel to apply (a function of times x times returning a matrix )

SmithWilsonYieldCurve documentation built on Sept. 12, 2024, 7:36 a.m.

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